2 papers
stat.ME2026
CoVaR under Asymptotic Independence
Zhaowen Wang, Yutao Liu, Deyuan Li
Conditional value-at-risk (CoVaR) is one of the most important measures of systemic risk. It is defined as the high quantile conditional on a related variable being extreme, widely…
stat.ME2025
Max-Linear Tail Regression
Liujun Chen, Deyuan Li, Zhengjun Zhang
The relationship between a response variable and its covariates can vary significantly, especially in scenarios where covariates take on extremely high or low values. This paper in…